feat(aggregation): Add CRMOGMWeighting

CHANGELOG.md

@@ -17,6 +17,10 @@ changelog does not include internal changes that do not affect the user.
 
 ### Added
 
+- Added `CRMOGMWeighting` from [On the Convergence of Stochastic Multi-Objective Gradient
+  Manipulation and Beyond](https://proceedings.neurips.cc/paper_files/paper/2022/file/f91bd64a3620aad8e70a27ad9cb3ca57-Paper-Conference.pdf)
+  (NeurIPS 2022). It wraps an existing `Weighting` and stabilises its weights with an exponential
+  moving average across calls.
 - Made `WeightedAggregator` and `GramianWeightedAggregator` public. These abstract base classes are
   now importable from `torchjd.aggregation` and documented. They can be extended to easily implement
   custom `Aggregator`s.
@@ -30,8 +34,8 @@ changelog does not include internal changes that do not affect the user.
   `CAGrad` and `CAGradWeighting`; `pref_vector` in `ConFIG`; `leak` in `GradDrop`, `n_byzantine` and
   `n_selected` in `Krum` and `KrumWeighting`; `epsilon` and `max_iters` in `MGDA` and
   `MGDAWeighting`; `n_tasks`, `max_norm`, `update_weights_every` and `optim_niter` in `NashMTL`;
-  `trim_number` in `TrimmedMean`. Setters validate their inputs matching the existing constructor
-  checks. Note that setters for `GradVac` and `GradVacWeighting` already existed.
+  `trim_number` in `TrimmedMean`. Setters validate their inputs matching the existing constructor checks.
+  Note that setters for `GradVac` and `GradVacWeighting` already existed.
 
 ## [0.10.0] - 2026-04-16
 

docs/source/docs/aggregation/cr_mogm.rst

@@ -0,0 +1,15 @@
+:hide-toc:
+
+CR-MOGM
+=======
+
+.. autoclass:: torchjd.aggregation.CRMOGMWeighting
+    :members: __call__, reset
+
+.. note::
+    The usage example in the docstring above imports
+    ``WeightedAggregator`` / ``GramianWeightedAggregator`` from
+    ``torchjd.aggregation._aggregator_bases``, which is a private module. These two
+    aggregator base classes are not currently part of the public ``torchjd.aggregation``
+    namespace, so this private-module import is the only path that works today. Promoting
+    them to the public namespace is a separate decision left to the maintainers.

docs/source/docs/aggregation/index.rst

@@ -35,6 +35,7 @@ Abstract base classes
     cagrad.rst
     config.rst
     constant.rst
+    cr_mogm.rst
     dualproj.rst
     flattening.rst
     graddrop.rst

src/torchjd/aggregation/__init__.py

@@ -64,6 +64,7 @@
 from ._aligned_mtl import AlignedMTL, AlignedMTLWeighting
 from ._config import ConFIG
 from ._constant import Constant, ConstantWeighting
+from ._cr_mogm import CRMOGMWeighting
 from ._dualproj import DualProj, DualProjWeighting
 from ._flattening import Flattening
 from ._graddrop import GradDrop
@@ -90,6 +91,7 @@
     "ConFIG",
     "Constant",
     "ConstantWeighting",
+    "CRMOGMWeighting",
     "DualProj",
     "DualProjWeighting",
     "Flattening",

src/torchjd/aggregation/_cr_mogm.py

@@ -0,0 +1,117 @@
+from __future__ import annotations
+
+from typing import TypeVar
+
+import torch
+from torch import Tensor
+
+from torchjd.aggregation._mixins import Stateful
+
+from ._weighting_bases import Weighting
+
+_T = TypeVar("_T", contravariant=True, bound=Tensor)
+
+
+class CRMOGMWeighting(Weighting[_T], Stateful):
+    r"""
+    :class:`~torchjd.aggregation._mixins.Stateful`
+    :class:`~torchjd.aggregation._weighting_bases.Weighting` that wraps another
+    :class:`~torchjd.aggregation._weighting_bases.Weighting` and stabilises the weights it
+    produces with an exponential moving average (EMA) across calls. This is the weight-smoothing
+    modifier from `On the Convergence of Stochastic Multi-Objective Gradient Manipulation and
+    Beyond <https://proceedings.neurips.cc/paper_files/paper/2022/file/f91bd64a3620aad8e70a27ad9cb3ca57-Paper-Conference.pdf>`_
+    (NeurIPS 2022).
+
+    Let :math:`\hat{\lambda}_k` be the weights returned by the wrapped weighting at step
+    :math:`k`. The smoothed weights returned by ``CRMOGMWeighting`` are:
+
+    .. math::
+
+        \lambda_k = \alpha \, \lambda_{k-1} + (1 - \alpha) \, \hat{\lambda}_k
+
+    with :math:`\lambda_0 = \begin{bmatrix} \frac{1}{m} & \dots & \frac{1}{m} \end{bmatrix}^\top
+    \in \mathbb{R}^m`. The state :math:`\lambda_{k-1}` is initialised lazily on the first
+    forward call once :math:`m` is known and is reset automatically when ``m`` changes.
+
+    Because ``CRMOGMWeighting`` is generic in the input type ``_T``, it can wrap either a
+    ``MatrixWeighting`` or a ``GramianWeighting``. Creating a corresponding :class:`~torchjd.aggregation.Aggregator` can be done by composing it with the appropriate
+    aggregator base:
+
+    .. code-block:: python
+
+        from torchjd.aggregation import MeanWeighting, UPGradWeighting
+        from torchjd.aggregation._aggregator_bases import (
+            GramianWeightedAggregator, WeightedAggregator,
+        )
+        from torchjd.aggregation._cr_mogm import CRMOGMWeighting
+
+        matrix_aggregator = WeightedAggregator(CRMOGMWeighting(MeanWeighting()))
+        gramian_aggregator = GramianWeightedAggregator(CRMOGMWeighting(UPGradWeighting()))
+
+    This weighting is stateful: it keeps :math:`\lambda_{k-1}` across calls. Use :meth:`reset`
+    when restarting the smoothing from uniform weights. Note that calling :meth:`reset` will also
+    reset the wrapped weighting if it is :class:`~torchjd.aggregation.Stateful`.
+
+    :param weighting: The wrapped weighting whose output is smoothed.
+    :param alpha: EMA coefficient on the previous weights. ``alpha=0`` disables smoothing
+        (``CRMOGMWeighting`` returns ``weighting``'s output verbatim) and ``alpha=1`` freezes
+        the weights at their initial uniform value. The default of ``0.9`` follows the usual
+        EMA convention (analogous to Adam's :math:`\beta_1`).
+
+    .. note::
+        ``alpha`` is a fixed ``float`` for simplicity. Corollary 1 of the paper recommends a
+        schedule where :math:`\alpha_k` starts near 0 and increases toward 1 as the learning
+        rate decays. Update ``alpha`` between forward calls via the public attribute on the
+        wrapping aggregator:
+
+        .. code-block:: python
+
+            # With WeightedAggregator
+            aggregator.weighting.alpha = 1 - current_lr / initial_lr
+
+            # With GramianWeightedAggregator
+            aggregator.gramian_weighting.alpha = 1 - current_lr / initial_lr
+    """
+
+    def __init__(self, weighting: Weighting[_T], alpha: float = 0.1) -> None:
+        super().__init__()
+        self.weighting = weighting
+        self.alpha = alpha
+        self._lambda: Tensor | None = None
+
+    @property
+    def alpha(self) -> float:
+        return self._alpha
+
+    @alpha.setter
+    def alpha(self, value: float) -> None:
+        if not (0.0 <= value <= 1.0):
+            raise ValueError(f"Attribute `alpha` must be in [0, 1]. Found alpha={value!r}.")
+        self._alpha = value
+
+    def reset(self) -> None:
+        """Clears the EMA state so the next forward starts from uniform weights."""
+
+        if isinstance(self.weighting, Stateful):
+            self.weighting.reset()
+        self._lambda = None
+
+    def forward(self, stat: _T, /) -> Tensor:
+        lambda_hat = self.weighting(stat)
+
+        lambda_prev = self._ensure_state(lambda_hat.shape[0], lambda_hat.dtype, lambda_hat.device)
+
+        lambda_k = self._alpha * lambda_prev + (1.0 - self._alpha) * lambda_hat
+
+        self._lambda = lambda_k.detach()
+        return lambda_k
+
+    def _ensure_state(self, m: int, dtype: torch.dtype, device: torch.device) -> Tensor:
+        if self._lambda is None:
+            self._lambda = torch.full((m,), 1.0 / m, dtype=dtype, device=device)
+        elif self._lambda.shape[0] != m:
+            raise ValueError(
+                f"The number of objectives changed from {self._lambda.shape[0]} to {m}. Call "
+                f"`reset()` before changing the number of objectives."
+            )
+        return self._lambda

tests/unit/aggregation/test_cr_mogm.py

@@ -0,0 +1,165 @@
+from pytest import mark, raises
+from torch import Tensor
+from torch.testing import assert_close
+from utils.tensors import randn_, tensor_
+
+from torchjd.aggregation import GradVacWeighting, MeanWeighting, UPGradWeighting
+from torchjd.aggregation._aggregator_bases import (
+    GramianWeightedAggregator,
+    WeightedAggregator,
+)
+from torchjd.aggregation._cr_mogm import CRMOGMWeighting
+
+from ._asserts import assert_expected_structure
+from ._inputs import scaled_matrices, typical_matrices
+
+# UPGradWeighting uses a QP solver that can fail on the extreme scales (0.0, 1e15) found in
+# scaled_matrices, so the gramian-path structural test only uses typical_matrices.
+matrix_pairs = [
+    (WeightedAggregator(CRMOGMWeighting(MeanWeighting())), m)
+    for m in typical_matrices + scaled_matrices
+]
+gramian_pairs = [
+    (GramianWeightedAggregator(CRMOGMWeighting(UPGradWeighting())), m) for m in typical_matrices
+]
+
+
+@mark.parametrize(["aggregator", "matrix"], matrix_pairs)
+def test_expected_structure_matrix_weighting(
+    aggregator: WeightedAggregator, matrix: Tensor
+) -> None:
+    assert_expected_structure(aggregator, matrix)
+
+
+@mark.parametrize(["aggregator", "matrix"], gramian_pairs)
+def test_expected_structure_gramian_weighting(
+    aggregator: GramianWeightedAggregator, matrix: Tensor
+) -> None:
+    assert_expected_structure(aggregator, matrix)
+
+
+def test_reset_restores_first_step_behavior() -> None:
+    """
+    Use ``UPGradWeighting`` so the weights actually depend on the input — with
+    ``MeanWeighting`` the EMA would be a fixed point at the uniform weights and the test would
+    be trivial.
+    """
+
+    J = randn_((3, 8))
+    G = J @ J.T
+    W = CRMOGMWeighting(UPGradWeighting(), alpha=0.5)
+    first = W(G)
+    W(G)
+    W.reset()
+    assert_close(first, W(G))
+
+
+def test_reset_propagates_to_stateful_weighting() -> None:
+    """
+    Verify that ``reset()`` calls the wrapped weighting's ``reset()`` when it is
+    :class:`~torchjd.aggregation.Stateful`. Checks that ``GradVacWeighting``'s internal
+    state is cleared after ``reset()``.
+    """
+
+    inner = GradVacWeighting()
+    W = CRMOGMWeighting(inner, alpha=0.5)
+    J = randn_((3, 8))
+    W(J @ J.T)
+    assert inner._phi_t is not None
+    W.reset()
+    assert inner._phi_t is None
+
+
+def test_changing_m_raises() -> None:
+    """Verify that changing the number of objectives after the first call raises a ValueError."""
+
+    W = CRMOGMWeighting(MeanWeighting())
+    W(randn_((3, 8)) @ randn_((3, 8)).T)
+    with raises(ValueError, match="number of objectives"):
+        W(randn_((2, 8)) @ randn_((2, 8)).T)
+
+
+def test_alpha_setter_accepts_valid() -> None:
+    W = CRMOGMWeighting(MeanWeighting())
+    W.alpha = 0.0
+    assert W.alpha == 0.0
+    W.alpha = 0.5
+    assert W.alpha == 0.5
+    W.alpha = 1.0
+    assert W.alpha == 1.0
+
+
+def test_alpha_setter_rejects_out_of_range() -> None:
+    W = CRMOGMWeighting(MeanWeighting())
+    with raises(ValueError, match="alpha"):
+        W.alpha = -0.1
+    with raises(ValueError, match="alpha"):
+        W.alpha = 1.1
+
+
+def test_alpha_zero_reduces_to_bare_weighting() -> None:
+    """
+    With ``alpha=0`` the previous state is always multiplied by zero, so the smoothed weights
+    equal the bare weighting's output on every call — not just the first.
+    """
+
+    J = randn_((3, 8))
+    G = J @ J.T
+    bare = UPGradWeighting()
+    smoothed = CRMOGMWeighting(UPGradWeighting(), alpha=0.0)
+
+    expected = bare(G)
+    assert_close(smoothed(G), expected)
+    assert_close(smoothed(G), expected)
+
+
+def test_alpha_one_freezes_weights() -> None:
+    """
+    With ``alpha=1`` the fresh weights are multiplied by zero, so the smoothed weights stay at
+    their initial uniform value forever. Note: the equality with uniform weights is a
+    consequence of the uniform initialisation, not a general property of CR-MOGM.
+    """
+
+    J = randn_((3, 8))
+    m = J.shape[0]
+    W = CRMOGMWeighting(UPGradWeighting(), alpha=1.0)
+    uniform = tensor_([1.0 / m] * m)
+
+    assert_close(W(J @ J.T), uniform)
+    assert_close(W(J @ J.T), uniform)
+
+
+def test_ema_is_applied() -> None:
+    """Run two steps with ``alpha=0.9`` and check the EMA recurrence by hand."""
+
+    alpha = 0.9
+    J1 = randn_((3, 8))
+    J2 = randn_((3, 8))
+    G1 = J1 @ J1.T
+    G2 = J2 @ J2.T
+    m = J1.shape[0]
+
+    bare = UPGradWeighting()
+    smoothed = CRMOGMWeighting(UPGradWeighting(), alpha=alpha)
+
+    lambda_hat_1 = bare(G1)
+    lambda_hat_2 = bare(G2)
+    uniform = tensor_([1.0 / m] * m)
+
+    expected_1 = alpha * uniform + (1.0 - alpha) * lambda_hat_1
+    expected_2 = alpha * expected_1 + (1.0 - alpha) * lambda_hat_2
+
+    assert_close(smoothed(G1), expected_1)
+    assert_close(smoothed(G2), expected_2)
+
+
+def test_zero_columns() -> None:
+    """
+    A ``(2, 0)`` matrix has no columns to combine, so the aggregation must be empty. Zero-row
+    inputs are intentionally not tested: ``MeanWeighting`` does ``1/m`` in Python and would
+    raise ``ZeroDivisionError`` at ``m=0``, which is the wrapped weighting's responsibility.
+    """
+
+    aggregator = WeightedAggregator(CRMOGMWeighting(MeanWeighting()))
+    out = aggregator(tensor_([]).reshape(2, 0))
+    assert out.shape == (0,)